International Asset Pricing with Recursive Preferences
International Asset Pricing with Recursive Preferences
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具有递归偏好的国际资产定价
DOI：
10.2139/ssrn.2021328
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
M. Croce
中科院分区：
文献类型：
--
作者：
R. Colacito;M. Croce
重点关注美国和英国，我们记录了巴科斯和史密斯（1993）关于消费差异和汇率之间低相关性的发现，以及关于高利率货币升值趋势的远期溢价异常，随着时间的推移，它们都变得更加严重。在考虑了不同的资本流动机制后，我们表明，在具有 Epstein 和 Zin（1989）偏好、无摩擦市场和高度相关的长期禀赋增长前景的两国和两种良好经济体中，这些异常现象转变为一般均衡规律。
Focusing on US and UK, we document that both the Backus and Smith (1993) finding, concerning the low correlation between consumption differentials and exchange rates, and the forward-premium anomaly, concerning the tendency of high interest rate currencies to appreciate, have become more severe through time. After accounting for different capital mobility regimes, we show that these anomalies turn into general equilibriumregularities in a two-country and two-good economy with Epstein and Zin (1989) preferences, frictionless markets, and highly correlated long-run endowment growth prospects.